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isPartOf:"The journal of finance : the journal of the American Finance Association"
subject:"Volatilität"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
~subject:"Beta risk"
~subject:"CAPM"
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Estimation theory
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Schätztheorie
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Kan, Raymond
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Alizadeh, Sassan
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Brandt, Michael W.
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Diebold, Francis X.
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The journal of finance : the journal of the American Finance Association
Working paper / National Bureau of Economic Research, Inc.
Journal of econometrics
132
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
54
Discussion paper / Tinbergen Institute
27
Economics letters
27
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26
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23
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International journal of forecasting
14
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14
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
13
Journal of risk and financial management : JRFM
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NBER working paper series
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The econometrics journal
12
The North American journal of economics and finance : a journal of financial economics studies
11
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SFB 649 discussion paper
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Finance and stochastics
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International journal of economics and financial issues : IJEFI
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International journal of financial engineering
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Journal of mathematical finance
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
Journal of financial and quantitative analysis : JFQA
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1
Simpler better market betas
Welch, Ivo
-
2019
Persistent link: https://www.econbiz.de/10012064525
Saved in:
2
Pricing model performance and the two-pass cross-sectional regression methodology
Kan, Raymond
;
Robotti, Cesare
;
Shanken, Jay
-
2009
Persistent link: https://www.econbiz.de/10003852918
Saved in:
3
Estimation of affine term structure models with spanned or unspanned stochastic volatility
Creal, Drew
;
Wu, Jing Cynthia
-
2014
Persistent link: https://www.econbiz.de/10010360896
Saved in:
4
Pricing model performance and the two-pass cross-sectional regression methodology
Kan, Raymond
;
Robotti, Cesare
;
Shanken, Jay
- In:
The journal of finance : the journal of the American …
68
(
2013
)
6
,
pp. 2617-2649
Persistent link: https://www.econbiz.de/10010237376
Saved in:
5
Macroeconomics and volatility : data, models, and estimation
Fernández-Villaverde, Jesús
;
Rubio-Ramírez, Juan …
-
2010
Persistent link: https://www.econbiz.de/10008780325
Saved in:
6
A multifactor, nonlinear, continuous-time model of interest rate volatility
Boudoukh, Jacob
;
Richardson, Matthew
;
Stanton, Richard
; …
-
1999
Persistent link: https://www.econbiz.de/10001394312
Saved in:
7
Range-based estimation of stochastic volatility models
Alizadeh, Sassan
;
Brandt, Michael W.
;
Diebold, Francis X.
- In:
The journal of finance : the journal of the American …
57
(
2002
)
3
,
pp. 1047-1091
Persistent link: https://www.econbiz.de/10001684742
Saved in:
8
High- and low-frequency exchange rate volatility dynamics : range-based estimation of stochastic volatility models
Alizadeh, Sassan
;
Brandt, Michael W.
;
Diebold, Francis X.
-
2001
Persistent link: https://www.econbiz.de/10001561834
Saved in:
9
Costs of equity capital and model mispricing
Pástor, Ľuboš
;
Stambaugh, Robert F.
- In:
The journal of finance : the journal of the American …
54
(
1999
)
1
,
pp. 67-121
Persistent link: https://www.econbiz.de/10001355201
Saved in:
10
Two-pass tests of asset pricing models with useless factors
Kan, Raymond
;
Zhang, Chu
- In:
The journal of finance : the journal of the American …
54
(
1999
)
1
,
pp. 203-235
Persistent link: https://www.econbiz.de/10001355207
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